User replaceable batteries work just like mobile phone batteries. Open the door on the back of the unit, pop the old one out and a new one in.

Non user replaceable batteries are supposed to be handled by the factory, though many folks do it themselves when the original battery gets too tired (about 2 years). You have to open the back of the PDA (take out a few screws) and replace the battery. Your data will be lost when you to do this, so backup first!